option iv skew drift
What it checks
When put options become unusually expensive vs in-the-money puts, the market is bracing for a drop. Stock usually recovers as the panic fades.
Mechanism
Put-side IV smile steepness (sotm_iv - sitm_iv) z over 252d. Rising skew prices tail risk; reverts via underlying drift up.
Signal rule
long when (sotm_iv - sitm_iv) 252d z >= +1.5; short on z <= -1.5; hold 5/10/21d
Data dependencies
options_chain_dailyEnd-of-day OPRA option chains used by IV-skew family.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- ~3-7%/yr
- Paper Sharpe
- ~0.6
- Paper window
- T+1 to T+21d
Cremers-Weinbaum 2010 JFQA: ~3-7%/yr on liquid single names.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
single name variance risk premiumOptionsSingle-name variance risk premium = atm_iv^2 - hv_20^2 (annualized). Positions revert when option-implied variance is rich vs realized.
option call put volume imbalanceOptionsCall-share of daily option volume (calls / (calls+puts+1)) z over 252d. Informed traders favor options for leverage; abnormal call buying signals bullish flow.
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See which tickers this family is currently firing on, with live signals and rankings.